PySocks dependency should be added:
$ yle-dl --help
...
pkg_resources.DistributionNotFound: The 'PySocks' distribution was not found and is required by yle-dl
I chose the first community version listed and got it working:
community/python-pysocks 1.6.8-1
SOCKS4, SOCKS5 or HTTP proxy (Anorov fork PySocks replaces socksipy)
community/python2-pysocks 1.6.8-1
SOCKS4, SOCKS5 or HTTP proxy (Anorov fork PySocks replaces socksipy)